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9. A stock price is currently $100. Over each of the next two six-month periods it is expected to go up by 12% or down

9. A stock price is currently $100. Over each of the next two six-month periods it is expected to go up by 12% or down by 12%. The risk-free interest rate is 6% per annum with continuous compounding. What is the value of a one-year European call option with a strike price of $110? A. 6.40 3 B. 5.71 C. 7.05 D. 4.45 E. 5.56

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